Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0136
Annualized Std Dev 0.1695
Annualized Sharpe (Rf=0%) -0.0799

Row

Daily Return Statistics

Close
Observations 4385.0000
NAs 1.0000
Minimum -0.1322
Quartile 1 -0.0033
Median 0.0003
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0039
Maximum 0.1083
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0107
Skewness -1.5676
Kurtosis 32.2099

Downside Risk

Close
Semi Deviation 0.0082
Gain Deviation 0.0077
Loss Deviation 0.0103
Downside Deviation (MAR=210%) 0.0127
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.5658
Historical VaR (95%) -0.0131
Historical ES (95%) -0.0266
Modified VaR (95%) -0.0149
Modified ES (95%) -0.0149
From Trough To Depth Length To Trough Recovery
2007-05-10 2008-12-16 2012-10-08 -0.5658 1366 406 960
2013-01-29 2020-03-18 NA -0.4850 2051 1797 NA
2004-03-18 2004-06-29 2006-10-24 -0.1553 657 71 586
2012-11-09 2012-11-15 2013-01-28 -0.0805 53 5 48
2003-11-19 2003-12-29 2004-03-17 -0.0397 81 27 54

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA NA -0.3 -0.7 -0.1 -1.1
2004 0.3 0.2 -0.3 0.4 0.3 2.5 1.2 0.4 0 0.9 0.4 0.7 7.2
2005 0.5 0.5 0.4 0.7 0.2 -0.1 0.3 0.3 0.3 0.4 0.4 0.5 4.4
2006 -0.3 -0.3 0.5 0.3 0.7 0.1 0.6 0.6 0.3 0.1 0.8 0.4 3.8
2007 0.7 0.6 -0.1 0.1 0.3 0.1 -0.3 -0.4 0.1 0.1 0.6 -0.1 1.6
2008 0.1 -1.5 1 -0.4 -0.5 0 0.3 0 4.4 -3.4 1 1.7 2.4
2009 2.4 -1.1 2.2 1.9 -0.1 1.5 0.4 1.1 0.2 -0.8 0.1 0.8 8.8
2010 0.1 0.9 -0.1 -0.4 0.1 -0.5 0.7 0.2 0.9 0.3 -0.4 1.9 3.8
2011 1.1 -0.1 0.4 0.7 0.3 0.1 2.2 -0.1 0.2 0.4 0 0.2 5.7
2012 -0.1 0.8 0.2 0.1 0.1 0.5 -0.3 0.2 0.1 0.4 0.1 0.5 2.7
2013 0.1 0.6 0.3 -0.2 -1.4 -0.3 -0.3 -0.8 0 -1.5 0.5 0.1 -3
2014 0.6 0.3 0.1 0.9 0.2 0 1.1 -0.1 1 0 -0.8 -0.1 3.2
2015 0.1 0.5 -0.1 -0.3 -0.1 0 0.9 -0.6 0.2 -0.1 0.4 0.2 1.1
2016 0.9 0.2 -0.4 -0.1 0.4 0.3 -0.1 0 0.5 0.1 -0.5 0.6 1.8
2017 -0.2 -0.4 0.3 -0.2 0.2 -0.2 0.4 -0.1 0 -0.5 -0.1 0 -0.7
2018 -0.1 -0.6 0.6 0.7 0.3 0.2 0.5 0.5 0.3 0.7 0.2 0.5 3.7
2019 0.1 -0.1 -0.4 0.1 0.6 -0.3 0.4 -0.2 0.3 -0.1 0.2 0 0.6
2020 0.2 -1.6 -3.8 0.6 0.2 0.5 0.8 0.6 1.3 -0.6 0.4 -0.1 -1.6
2021 -0.3 1.6 0.3 NA NA NA NA NA NA NA NA NA 1.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart